MAGNITUDE DRIFT EFFECT WINNER AND LOSER STOCKS: LQ45 AND FTSE100

Felita Tanuprasodjo(1), Putu Anom Mahadwartha(2*),

(1) Alumni of Master of Management FBE-Universitas Surabaya
(2) Faculty of Business and Economics. Universitas Surabaya, Indonesia
(*) Corresponding Author

Abstract


This research is aimed to examine and find out empirical evidence of magnitude drift effect on 10 winner LQ45, 10 loser LQ45, 5 winner FTSE100 Malaysia and 5 loser FTSE100 Malaysia. One sample t-test and independent sample t-test are used to test the magnitude drift effect. The result show the positive magnitude drift effect on Monday-Wednesday at 10 Winner LQ45 and 5 winner FTSE100, Monday-Tuesday at 10 Loser LQ45, Monday-Thursday at 5 Loser FTSE100 and the negative magnitude drift effect occurs on  Thursday-Friday at 10 Winner LQ45 and 5 Loser FTSE100, Wednesday-Friday at 10 Loser LQ45 and Friday-Monday at 5 Winner FTSE100. Magnitude drift in Malaysia occurs more than magnitude drift  in Indonesia. 

Keywords


Market Anomaly; Days of the Week Effect; Magnitude Drift Effect

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DOI: https://doi.org/10.24123/jmb.v15i1.147

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This work is licensed under a Creative Commons Attribution 4.0 International License. ISSN: 1412-3789. e-ISSN: 2477-1783.

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